Collateral Crises

• 成果类型: Article
• 署名作者: Gorton, Gary; Ordonez, Guillermo
• 署名单位: Yale University; National Bureau of Economic Research; University of Pennsylvania
• 刊物名称: AMERICAN ECONOMIC REVIEW
• ISSN/ISSBN: 0002-8282
• DOI: 10.1257/aer.104.2.343
• 发表日期: 2014
• 页码: 343-378
• 关键词: Financial crises; credit booms; fragility; securitization; liquidity; POLICY

摘要

Short-term collateralized debt, private money, is efficient if agents are willing to lend without producing costly information about the collateral backing the debt. When the economy relies on such informationally insensitive debt, firms with low quality collateral can borrow, generating a credit boom and an increase in output. Financial fragility is endogenous; it builds up over time as information about counterparties decays. A crisis occurs when a (possibly small) shock causes agents to suddenly have incentives to produce information, leading to a decline in output. A social planner would produce more information than private agents but would not always want to eliminate fragility. (JEL D83, E23, E32, E44, G01)